| Close | |
|---|---|
| Annualized Return | 0.0252 |
| Annualized Std Dev | 0.2222 |
| Annualized Sharpe (Rf=0%) | 0.1132 |
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1041 |
| Quartile 1 | -0.0070 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0075 |
| Maximum | 0.1718 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0140 |
| Skewness | 0.2177 |
| Kurtosis | 8.6362 |
| Close | |
|---|---|
| Semi Deviation | 0.0099 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0100 |
| Downside Deviation (MAR=210%) | 0.0148 |
| Downside Deviation (Rf=0%) | 0.0098 |
| Downside Deviation (0%) | 0.0098 |
| Maximum Drawdown | 0.6218 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0323 |
| Modified VaR (95%) | -0.0195 |
| Modified ES (95%) | -0.0214 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-04-03 | 2003-04-25 | 2020-11-27 | -0.6218 | 5198 | 768 | 4430 |
| 2000-01-03 | 2000-03-13 | 2000-03-31 | -0.1303 | 63 | 49 | 14 |
| 1999-04-15 | 1999-05-27 | 1999-06-11 | -0.1010 | 41 | 31 | 10 |
| 1999-02-03 | 1999-03-02 | 1999-03-10 | -0.0769 | 25 | 19 | 6 |
| 2021-02-17 | 2021-03-08 | NA | -0.0621 | 24 | 14 | NA |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.6 | -1.2 | 3.3 | -2.5 | 3.3 | 2 | 2.4 | 4.2 | 2.2 | -1.3 | 0 | 0.8 | 13 |
| 2000 | 0 | 2.1 | 3.9 | 2 | 1.3 | -0.4 | 0.9 | 0.9 | 0 | -0.5 | 3.2 | -0.6 | 13.6 |
| 2001 | 0.4 | -1.3 | -1.2 | 2.4 | -0.6 | 0.3 | 1.8 | 1.6 | -0.6 | 1.3 | 0.5 | -1.8 | 2.6 |
| 2002 | -1.3 | 4.4 | -3.3 | 0.7 | -0.4 | -1.2 | -2.4 | 0.5 | 0.7 | 1.9 | 0.7 | -0.4 | -0.4 |
| 2003 | -0.1 | -0.3 | 1.2 | 0.3 | 0.6 | 2.6 | -1.2 | 0.7 | 4.1 | -1.9 | 3 | 0.4 | 9.7 |
| 2004 | 0 | 3.1 | 1.1 | -1.4 | -0.6 | -1.8 | 1.1 | -0.2 | 2.3 | -0.3 | 1.4 | 1.2 | 5.9 |
| 2005 | 0.6 | 0.7 | -0.3 | 1.8 | 0.6 | 0 | 0.9 | 0.9 | -1.6 | 1 | 2.3 | -0.7 | 6.3 |
| 2006 | -0.3 | 0.9 | -0.3 | 0.3 | 0.4 | 0.8 | -1.5 | 0.9 | -0.1 | -0.4 | 0.1 | 0.1 | 0.9 |
| 2007 | 1.3 | -0.5 | -0.7 | 0 | 0.5 | 1 | -0.8 | 2.2 | 1.1 | -1.3 | 0.2 | 0.2 | 3.4 |
| 2008 | 0.9 | -1.2 | 2.9 | 0.9 | 1.3 | 0.4 | -1.4 | 0.1 | -1.2 | -0.1 | -5.8 | 0.8 | -2.6 |
| 2009 | -2.4 | 0.8 | 2.9 | 1.5 | 1.6 | 1.2 | 0.5 | -1.5 | -2.5 | -1.2 | 3.5 | -0.8 | 3.3 |
| 2010 | 1 | 1 | 1.5 | -0.3 | -0.4 | 0.3 | -0.8 | 2.8 | 0.2 | -1 | 2 | 0.4 | 6.9 |
| 2011 | 2 | -0.2 | -0.1 | 0.2 | -1.3 | 0.9 | -1 | -0.9 | -2.6 | -1.3 | -1.4 | 0.8 | -4.8 |
| 2012 | 0.7 | 0.6 | 0.3 | -1 | -2.7 | 2.1 | -0.3 | 0.1 | -0.3 | 1 | -0.4 | 0.8 | 0.7 |
| 2013 | -0.3 | 1 | -3.9 | -1.1 | -2.3 | 1.2 | 2.7 | -2 | -0.4 | -1 | -0.1 | 0.2 | -6 |
| 2014 | -2.6 | 0.5 | 0.3 | 1.3 | 0.2 | 1.7 | -0.1 | -0.2 | -1.6 | 5 | 0.5 | -0.5 | 4.3 |
| 2015 | -1.7 | -0.4 | 0.4 | 1.2 | 0.5 | 0.7 | 0.8 | -4.5 | 0.7 | -0.5 | 1.5 | -1 | -2.4 |
| 2016 | -0.6 | 2.5 | -2.5 | -0.9 | -0.1 | -0.2 | 0.3 | 0.7 | -0.2 | -0.4 | -0.8 | 0 | -2.1 |
| 2017 | 0.5 | 1.2 | -0.9 | 0.4 | 0.9 | 0.3 | 0.6 | -0.4 | 0 | 0.6 | -0.5 | 0.2 | 2.9 |
| 2018 | 0.5 | -2.9 | 1.3 | -0.1 | 0.7 | -0.3 | 0.6 | 0.2 | 0.7 | -0.2 | 0.1 | -0.2 | 0.3 |
| 2019 | -0.4 | 0.3 | 1.3 | -0.3 | -1.1 | 1.4 | 0 | 0.3 | -0.4 | 1 | -0.9 | 0.3 | 1.4 |
| 2020 | -1.6 | -0.1 | -4.8 | -1.8 | 1.5 | -0.2 | -2.6 | 0.3 | 0 | -0.6 | 2.1 | 0.3 | -7.4 |
| 2021 | 1 | 1.7 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.5 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 40.8 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 40.5 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 41 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 41.2 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 41.2 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 40.8 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>